Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

A multifactor approach to the social discount rate

This work focuses on the appraisal of public and environmental projects and, more specifically, on the calculation of the social discount rate (SDR) for this kind of very long-term investment projects. As a rule, we can state that the instantaneous discount rate must be equal to the hazard rate of the public good or to the mortality rate of the population that the project is intended to. The hazard can be due to technical failures of the system, but, in this paper, we are going to consider different independent variables that can cause the hazard. That is, we are going to consider a multivariate hazard rate. In our empirical application, the Spanish forest surface will be the system and the forest fire will be the fail that can be caused by several factors. The aim of this work is to integrate the different variables that produce the fail in the calculation of the SDR from a multivariate hazard rate approach.

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Biodegradation rate constants in different NF/UF fractions of cork processing wastewaters

Cork processing wastewater is an aqueous complex mixture of organic compounds that have been extracted from cork planks during the boiling process. These compounds, such as polysaccharides and polyphenols, have different biodegradability rates, which depend not only on the natureof the compound but also on the size of the compound. The aim of this study is to determine the biochemical oxygen demands (BOD) and biodegradationrate constants (k) for different cork wastewater fractions with different organic matter characteristics. These wastewater fractions were obtained using membrane separation processes, namely nanofiltration (NF) and ultrafiltration (UF). The nanofiltration and ultrafiltration membranes molecular weight cut-offs (MWCO) ranged from 0.125 to 91 kDa. The results obtained showed that the biodegradation rate constant for the cork processing wastewater was around 0.3 d(-1) and the k values for the permeates varied between 0.27-0.72 d(-1), being the lower values observed for permeates generated by the membranes with higher MWCO and the higher values observed for the permeates generated by the membranes with lower MWCO. These higher k values indicate that the biodegradable organic matter that is permeated by the membranes with tighter MWCO is more readily biodegradated.

Occupational exposure to poultry dust and effects on the respiratory system in workers

Farmers are occupationally exposed to many respiratory hazards at work and display higher rates of asthma and respiratory symptoms than other workers. Dust is one of the components present in poultry production that increases risk of adverse respiratory disease occurrence. Dust originates from poultry residues, molds, and feathers and is biologically active as it contains microorganisms. Exposure to dust is known to produce a variety of clinical responses, including asthma, chronic bronchitis, chronic airways obstructive disease (COPD), allergic alveolitis, and organic dust toxic syndrome (ODTS). A study was developed to determine particle contamination in seven poultry farms and correlate this with prevalence rate of respiratory defects and record by means of a questionnaire the presence of clinical symptoms associated with asthma and other allergy diseases by European Community Respiratory Health Survey. Poultry farm dust contamination was found to contain higher concentrations of particulate matter (PM) PM5 and PM10. Prevalence rate of obstructive pulmonary disorders was higher in individuals with longer exposure regardless of smoking status. In addition, a high prevalence for asthmatic (42.5%) and nasal (51.1%) symptoms was noted in poultry workers. Data thus show that poultry farm workers are more prone to suffer from respiratory ailments and this may be attributed to higher concentrations of PM found in the dust. Intervention programs aimed at reducing exposure to dust will ameliorate occupational working conditions and enhance the health of workers.

Improved matching criterion for frame rate upconversion with trilateral filtering

Frame rate upconversion (FRUC) is an important post-processing technique to enhance the visual quality of low frame rate video. A major, recent advance in this area is FRUC based on trilateral filtering which novelty mainly derives from the combination of an edge-based motion estimation block matching criterion with the trilateral filter. However, there is still room for improvement, notably towards reducing the size of the uncovered regions in the initial estimated frame, this means the estimated frame before trilateral filtering. In this context, proposed is an improved motion estimation block matching criterion where a combined luminance and edge error metric is weighted according to the motion vector components, notably to regularise the motion field. Experimental results confirm that significant improvements are achieved for the final interpolated frames, reaching PSNR gains up to 2.73 dB, on average, regarding recent alternative solutions, for video content with varied motion characteristics.

Design of a Multiband Full-Rate Ultra-Wideband Receiver in FPGA

MultiBand OFDM (MB-OFDM) UWB [1] is a short-range promising wireless technology for high data rate communications up to 480 Mbps. In this paper, we have designed and implemented in an Virtex-6 FPGA an MB-OFDM UWB receiver for the highest data rate of 480 Mbps. To test the system, we have also implemented an MB-OFDM transmitter and an AWGN generator in VHDL and determined the bit error rates at the receiver running in an FPGA.

Adaptive mutations in bacteria: high rate and small effects

Evolution by natural selection is driven by the continuous generation of adaptive mutations. We measured the genomic mutation rate that generates beneficial mutations and their effects on fitness in Escherichia coli under conditions in which the effect of competition between lineages carrying different beneficial mutations is minimized. We found a rate on the order of 10–5 per genome per generation, which is 1000 times as high as previous estimates, and a mean selective advantage of 1%. Such a high rate of adaptive evolution has implications for the evolution of antibiotic resistance and pathogenicity.

The impact of financial disclosures in the measurement of notional interest rate swaps in the period of 2007-2012

Mestrado em Contabilidade

Rate regulated activities: a problemática do relato financeiro e da sua auditoria: o caso da navegação aérea no contexto europeu

A navegação aérea, enquanto atividade regulada, está sujeita a legislação específica, dependendo o seu exercício de autorização própria atribuída por uma entidade supervisora, que também verifica as tarifas a aplicar. O regulamento (CE) N.º 550/2004 identifica os requisitos comuns para a prestação de serviços de navegação aérea na Europa, dando particular importância à transparência do relato financeiro ao exigir a sua elaboração segundo as normas internacionais de contabilidade e a verificação por uma auditoria independente. Adicionalmente, o Regulamento (EU) N.º 1191/2010, que alterou o Regulamento (CE) N.º 1794/2006, estabelece o regime comum de tarifação de tais serviços, nomeadamente a recuperabilidade de desvios relativos ao volume de tráfego e aos gastos controláveis e não controláveis. Ao nível do enquadramento contabilístico, as atividades reguladas não têm uma norma específica. Existem dois projetos do IASB – um de 2009, que foi suspenso, e um de 2013, relativo à implementação de uma norma transitória que incentive a adoção das normas internacionais por entidades que exerçam atividades reguladas. Existe, ainda, uma norma do FASB não aplicável no espaço europeu. Os R&C de várias entidades evidenciam a existência de diferentes referenciais contabilísticos e que a generalidade dos relatórios de auditoria não tem reservas ou ênfases. Enquanto algumas entidades apenas divulgam os montantes dos desvios, outras entidades consideram que tais montantes se qualificam, reconhecendo-os. Tal facto decorre da inexistência de uma norma internacional que põe em causa a comparabilidade da informação financeira e dificulta o julgamento do auditor quanto à adequação ou não dos procedimentos adotados pela entidade.

Mapeamento das regiões cerebrais associadas ao engano

Mestrado em Radiações aplicadas às Tecnologias da Saúde - Ramo de Ressonância Magnética

Reabilitação energética de um edifício de serviços

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Civil na Área de Especialização de Edificações

A high-rate mimo receiver in an FPGA

This paper describes the hardware implementation of a High-Rate MIMO Receiver in an FPGA for three modulations, namely BPSK, QPSK and 16-QAM based on the Alamouti scheme. The implementation with 16-QAM achieves more than 1.6 Gbps with 66% of the resources of a medium-sized Virtex-4 FPGA. This results indicate that the Alamouti scheme is a good design option for hardware implementation of a high-rate MIMO receiver. Also, using an FPGA, the modulation can be dynamically changed on demand.

Stress in university students and cardiovascular response to academic stressors

Introduction: University students are frequently exposed to events that can cause stress and anxiety, producing elevated cardiovascular responses. Repeated exposure to academic stress has implications to students’ success and well-being and may contribute to the development of long-term health problems. Objective: To identify stress levels and coping strategies in university students and assess the impact of stress experience in heart rate variability (HRV). Methods: 17 university students, 19-23 years, completed the University Students Stress Inventory, the Depression Anxiety Stress Scales and the Ways of Coping Questionnaire. Two 24h-Holter recordings were performed, on academic activity days, including one of them an exam situation. Results: Students tend to present moderate stress levels, and prefer problem-focused coping strategies in order to manage stress. Exam situations are perceived as significant stressors. Although we found no significant differences in HRV (SDNN), between days with and without an exam, we registered a lower SDNN score and a variation in heart rate (HR) related to exam situation (maximum HR peak at 10 minutes before the exam, and total HR recovery 20 minutes after the exam), reflecting sympathetic activation due to stress. Conclusions: These results suggest that academic events, especially those related to exam situations, are the cause of stress in university students, with implications at cardiovascular level, underlying the importance of interventions that help these students improve their coping skills and optimize stress management, in order to improve academic achievement and promote well-being and quality of life.

Predictors of infant positive, negative and self-direct coping during face to face still-face in a Portuguese preterm sample

Past studies found three types of infant coping behaviour during Face-to-Face Still-Face paradigm (FFSF): a Positive Other-Directed Coping; a Negative Other-Directed Coping and a Self-Directed Coping. In the present study, we investigated whether those types of coping styles are predicted by: infants’ physiological responses; maternal representations of their infant’s temperament; maternal interactive behaviour in free play; and infant birth and medical status. The sample consisted of 46, healthy, prematurely born infants and their mothers. At one month, infant heart rate was collected in basal. At three months old (corrected age), infant heart-rate was registered during FFSF episodes. Mothers described their infants’ temperament using a validated Portuguese temperament scale, at infants three months of corrected age. As well, maternal interactive behaviour was evaluated during a free play situation using CARE-Index. Our findings indicate that positive coping behaviours were correlated with gestational birth weight, heart rate (HR), gestational age, and maternal sensitivity in free play. Gestational age and maternal sensitivity predicted Positive Other-Direct Coping behaviours. Moreover, Positive Other-Direct coping was negatively correlated with HR during Still-Face Episode. Self-directed behaviours were correlated with HR during Still-Face Episode and Recover Episode and with maternal controlling/intrusive behaviour. However, only maternal behaviour predicted Self-direct coping. Early social responses seem to be affected by infants’ birth status and by maternal interactive behaviour. Therefore, internal and external factors together contribute to infant ability to cope and to re-engage after stressful social events.